You can use SQL to store your bayes and awl databases if you're running on Windows. Storing the database in SQL reportedly reduces cpu overhead and increases speed. You can likely use any database that has a DBD module and permits threads to share handles. ADO does not permit handle-sharing, so you may not use it. Others have successfully installed MySQL on Windows and used that. This how-to provides information on using Microsoft's data engine. It was tested with MSDE 2000.

Create a new database. Create a new login. Give the login rights to the database. I use the tools that came with SQL Server 2000 to do this. I don't know that Microsoft still has the tools available for MSDE 2000 since they want you to use SQL Express 2005 now. I haven't tested SQL Express 2005 mainly because our environment uses SQL Server 2000.